Partial information about contagion risk, self-exciting processes and portfolio optimization (Q1994368): Difference between revisions

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+Optimum portfolio diversification in a general continuous-time model
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+Portfolio choice with jumps: a closed-form solution
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+PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
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+Optimal investment under partial information
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+What is the impact of stock market contagion on an investor's portfolio choice?
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+Point processes and queues. Martingale dynamics
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+Portfolio optimization in discontinuous markets under incomplete information
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+Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
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+Time-Changed Birth Processes and Multiname Credit Derivatives
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+Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
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+Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
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+Asset allocation under multivariate regime switching
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+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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+Optimal portfolio choice for unobservable and regime-switching mean returns
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+Optimal portfolio for a small investor in a market model with discontinuous prices
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+How to invest optimally in corporate bonds: a reduced-form approach
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+Asset allocation with contagion and explicit bankruptcy procedures
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+Dynamic portfolio choice under ambiguity and regime switching mean returns
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+Optimum consumption and portfolio rules in a continuous-time model
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